The Southern California Quantitative Finance Forum (SCQF) is a new regular research forum for the Quantitative Finance Community in Southern California.
Our aim is to meet every Fall and Spring quarter for a late afternoon in-person event featuring talks from external and local speakers, followed by a dinner.
The forum is jointly organized by the Mathematical Finance groups at UCSB, USC, UCLA, and Caltech.
Monday, November 10, 2025 at UCLA. Talks are in the Mathematical Sciences Building, MS 6221.
2:30 - 3:30 pm: Informal Meet & Greet at the Kerckhoff Coffee House
3:30 – 4:20 pm: Dylan Possamaï (ETH Zurich)
TBA
4:30 – 5:20 pm: Marco Frittelli (Milano University)
Collective Phenomena in Financial Markets: Arbitrage, No Free Lunch, Individual Rationality.
This talk investigates the role of cooperation and interaction among agents in financial markets, exploring how collective action redefines fundamental theoretical concepts.
A cornerstone of this approach is the concept of Collective Arbitrage and Collective Super-replication, as introduced by Biagini et al. [1] in a discrete-time setting. This work demonstrates that effective risk-sharing significantly reduces hedging costs, thereby necessitating the No Collective Arbitrage (NCA) condition as a crucial extension of the standard no-arbitrage principle.
We then discuss the generalization of this framework to continuous-time semimartingale markets [2], which requires the introduction of a No Collective Free Lunch condition.
Moreover, by assuming heterogeneous, monotone concave preferences, we show that the resulting collective exchanges are strictly beneficial for all participating agents in the market. This finding confirms that cooperation not only removes systemic arbitrage opportunities but serves as a powerful source of individual utility gain.
References:
[1] Biagini, F., Doldi, A., Fouque, J-P., Frittelli, M. and Meyer-Brandis T. (2025). Collective Arbitrage and the Value of Cooperation. Forthcoming in Finance and Stochastics.
[2] Frittelli, M. (2025). Collective Free Lunch and the FTAP. SIAM Journal of Financial Mathematics, Vol. 16, No. 1, pp. 53–67.
[3] Doldi, A., Frittelli, M. and Maggis, M. (2025). Collective completeness and pricing hedging Duality. Math. Fin. Econ.
5:30 – 5:50 pm: Gabriela Kováčová (UCLA)
TBA
6:00 – 6:20 pm: Zihao Gu (USC)
TBA
Dinner: Plateia (UCLA Luskin Conference Center), 425 Westwood Plaza, Los Angeles, CA 90095. We will walk there together after the Forum.
TBD.